adaptMCMC

swMATH20727CRANadaptMCMCMaRDI QIDQ32544

Implementation of a Generic Adaptive Monte Carlo Markov Chain Sampler

Andreas Scheidegger

Last update: 29 January 2024

Software version identifier: 1.4, 1.0.2, 1.0.3, 1.0, 1.1, 1.2, 1.3, 1.5

Source code repository: https://github.com/cran/adaptMCMC

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Description

Enables sampling from arbitrary distributions if the log density is known up to a constant; a common situation in the context of Bayesian inference. The implemented sampling algorithm was proposed by Vihola (2012) <doi:10.1007/s11222-011-9269-5> and achieves often a high efficiency by tuning the proposal distributions to a user defined acceptance rate.

Cites work

• Robust adaptive Metropolis algorithm with coerced acceptance rate